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Order Aggressiveness in Limit Order Book Markets

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version abrégée I examine the information content of a limit order book in a purely order-driven market. I analyze how the state of the limit order book affects a trader's strategy. I develop an econometric technique to study order aggressiveness and provide empirical evidence on the recent theoretical models on limit order book markets. My results show that patient traders become more aggressive when the own (opposite) side book is thicker (thinner), the spread wider, and the temporary volatility increases. Also, I find that the buy and the sell sides of the book affect the order submission differently.
   
Genre Journal paper
   
mot-clé Limit order book; Limit orders; Microstructure; Order aggressiveness; Probit model
   
langue English
kind of paper journal article
date de sortie de la publication 1-2004
journal Journal of Financial Markets
maison d'édition Elsevier
ISSN 1386-4181
émission du journal 7
numéro du journal 1
page(s) 53-74
Review Double-Blind Review
   
citation Ranaldo, A. (2004). Order Aggressiveness in Limit Order Book Markets. Journal of Financial Markets, 7(1), 53-74.